This paper assesses analytically the ability of dynamic general-equilibrium sticky-price models to generate persistent real exchange rate fluctuations. It develops a tractable general-equilibrium model with Calvo-type price stickiness. The model has a closed-form solution and the persistence of the real exchange rate is explicitly characterized. The paper shows that real exchange rate persistence is pinned down by the probability of not changing prices. This result suggests that standard sticky-price models are unable to generate endogenous persistence.